Dissertation > Excellent graduate degree dissertation topics show

Arbitrage Opportunity Analysis of Stock Index Futures and Sse 50 Constituent Stocks

Author: YaoLei
Tutor: LiuHaiLong
School: Shanghai Jiaotong University
Course: Business Administration
Keywords: Stock index futures SSE 50 Arbitrage β value Impact costs
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 44
Quote: 0
Read: Download Dissertation


CSI 300 Index Futures , focuses on the trading of stock index futures arbitrage . The study aims to discuss the use of a single species in the premise of considering the impact of the cost of the feasibility of arbitrage transactions . The key stock index futures arbitrage building spot position , the core is determined arbitrage space . In this paper, based on the 50 constituent stocks of the SSE and 50ETF, in-depth analysis to calculate the value of β value method used in the sample , and then come to the static β value of each single species , and draw a dynamic β value of historical time sequence diagram , an effective solution Jiancang spot position and in positions in the process , based on a reasonable dynamic beta value forecast , timely adjustment of positions , so as to obtain a low risk , maximize income . Estimates found after this article , the 50 constituent stocks of the SSE and 50ETF a total of 51 varieties , static β value range 0.49595-1.35407 , the correlation coefficient interval 0.46194-0.94973 , where β values ??greater than 0.9 to 37 , a correlation coefficient greater than 0.7 30 , while the two conditions are satisfied for 23 . Meanwhile, stock index futures the conservative total impact cost of 0.75 ‰ 50ETF total impact cost of 1.07 per thousand , higher cost impact of individual stocks , the SSE 50 constituent stocks of the vast majority of the total impact cost in between 1.5-3.5 ‰ . In addition , the study found that , without considering the impact cost , deadline 11.12.15 , stock index futures market has a total of 102 days of positive arbitrage opportunity to consider the impact of the cost , and 3 ‰ credited , just 48 days chance , obviously , because of the impact costs exist , arbitrage space is significantly reduced .

Related Dissertations

  1. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  2. The Application Research to Risk Measurement of Index Futures,F224
  3. An Empirical Study on Risk Transmissions between Stock Index and Index Futures Markets in China,F832.51
  4. Based on statistical arbitrage theory of intertemporal arbitrage index futures,F224
  5. Future-cash Arbitrage and Risk Research in China Based on Copula-SV Model,F224
  6. China 's stock index futures market , legal and regulatory system,F832.51
  7. Our stock index futures market volatility on the stock market impact analysis,F224
  8. China 's stock index futures prices on the spot market volatility and the cointegration test study,F224
  9. China Taiwan region index futures and spot trading analysis of the interaction between,F224
  10. Analysis of the Stock Index Futures Arbitrage Strategy in Our Country,F832.51
  11. Reserarch on the Optimal Hedging Ratio Based on Chinese Stock Index Futures,F224
  12. A Study on Hedging Transaction Strategies of Stock Index Futures,F832.51
  13. Research of Accounting Issues About Stock Index Futures Self-running in Securities Company,F832.51
  14. Research on Investment Strategy Simulation of Stock Index Futures Market Based on Netlogo,F224
  15. Arbitrage with CSI 300 Index Futures,F832.51
  16. Study on Arbitrage and Hedging between Stock Index Futures and ETF,F224
  17. Research based on the the VaR method of stock index futures investment risk,F832.51
  18. Study on Applying a Statistical Arbitrage Technique of Pairs Trading to High-Frequency Data,F224
  19. Study on Index Arbitrage Strategy of China’s Hs300 Stock-Index Futures,F832.51
  20. The Designing of Passive Management Model of Social Security Fund Investment Based on Hs300 Index Futures,F832.51

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile